Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1123
Annualized Std Dev 0.2262
Annualized Sharpe (Rf=0%) 0.4963

Row

Daily Return Statistics

Close
Observations 4028.0000
NAs 1.0000
Minimum -0.1393
Quartile 1 -0.0056
Median 0.0011
Arithmetic Mean 0.0005
Geometric Mean 0.0004
Quartile 3 0.0075
Maximum 0.1418
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0010
Variance 0.0002
Stdev 0.0143
Skewness -0.3386
Kurtosis 11.5130

Downside Risk

Close
Semi Deviation 0.0105
Gain Deviation 0.0098
Loss Deviation 0.0116
Downside Deviation (MAR=210%) 0.0148
Downside Deviation (Rf=0%) 0.0102
Downside Deviation (0%) 0.0102
Maximum Drawdown 0.5537
Historical VaR (95%) -0.0211
Historical ES (95%) -0.0349
Modified VaR (95%) -0.0209
Modified ES (95%) -0.0356
From Trough To Depth Length To Trough Recovery
2007-12-11 2008-11-20 2013-02-06 -0.5537 1298 240 1058
2020-02-20 2020-03-23 2020-08-04 -0.3701 116 23 93
2015-08-03 2016-02-09 2017-02-09 -0.2613 378 132 246
2018-09-17 2018-12-24 2019-02-27 -0.2519 112 69 43
2006-05-09 2006-07-21 2006-12-04 -0.1561 146 52 94

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA -0.1 0.5 0.3 -0.5 0.3 -0.1 1.2 -0.1 2.1 -0.4 3.4
2006 0.4 1.3 -0.1 0.3 1.7 0.8 -2 0.7 -0.5 -2.4 -0.5 -0.8 -1.1
2007 1 -0.3 -0.3 -0.4 0.3 -0.2 1 1.3 1.5 -1.9 0.1 -1.1 0.9
2008 2.7 -3.2 3.5 1.6 0.6 0.6 0.1 -1.4 -2.1 -1.9 -9.1 2.1 -6.9
2009 -2.3 -0.7 -0.1 -0.1 3.1 0.3 -0.5 -1.4 -2.7 -2.4 1.8 -0.9 -5.9
2010 1.1 1.7 0.4 -2 -3.3 -0.3 0.3 3.6 -0.1 -0.2 2.3 -1 2.3
2011 1.9 -1.3 1 0.5 -1.9 1.5 -1 -1.4 -2.9 -3.5 0.2 -0.1 -7.1
2012 1.1 0.8 0.3 1 -3.2 4 -0.3 0.7 -0.1 2.1 0 1.4 7.9
2013 0.6 -0.3 -0.9 -1.1 -1.1 0.2 0.9 -0.5 1.1 0.7 0.4 0.1 0
2014 -0.2 -0.3 1.1 0 0.2 0.8 -0.6 0.3 -1.9 1.4 -1.1 0.1 -0.1
2015 -0.7 -0.1 -1.1 0.8 0.3 0.4 1 -2.8 -0.1 0.5 0.6 0 -1.3
2016 1.1 2 0.6 -0.3 0.3 0.4 0.3 -0.2 0.1 -0.7 -2 -0.8 0.8
2017 -0.1 1.1 0.5 0.1 1.3 0.2 0.3 0.6 0.5 -0.6 -1.1 -0.4 2.3
2018 0.1 -1.4 2 0.7 1.4 0.4 1.2 0.6 -1 2.5 0.8 0.8 8.3
2019 1 0.5 1.1 -1 -0.9 0.3 -0.8 0 -1.4 0.2 -1 0 -2
2020 -1.5 -2.4 -5.6 -2.8 0.5 0.3 -0.2 0.7 1.6 -1.5 0.5 0.2 -9.9
2021 2.2 3 0.8 NA NA NA NA NA NA NA NA NA 6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2005-03-03  15.0 SPY    121.  0.0004   0.0082   0.0194   0.0167   0.0478   0.0473  -0.0908 GLD    43.0 -0.0065  -0.0083
2 2005-03-04  15.3 SPY    123.  0.0125   0.0107   0.029    0.0285   0.0581   0.0637  -0.0984 GLD    43.4  0.0095  -0.0028
3 2005-03-07  15.3 SPY    123.  0.0005   0.0179   0.0322   0.0297   0.0551   0.0517  -0.107  GLD    43.5  0.0021  -0.0011
4 2005-03-08  15.2 SPY    122. -0.0037   0.0091   0.0175   0.0262   0.0641   0.05    -0.116  GLD    44.0  0.0129   0.0187
5 2005-03-09  15.0 SPY    121. -0.0111  -0.0017   0.0075   0.0243   0.0565   0.034   -0.127  GLD    44.0 -0.0002   0.0178
6 2005-03-10  14.9 SPY    121.  0.0022   0.0002   0.0086   0.0206   0.0769   0.0341  -0.141  GLD    44.2  0.0041   0.0286
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart